Index

Above par 8

Accounting for dividends 8890

Agreements 1, 2, 8, 3441, 199, 321

American option 151, 1556

early exercise boundary 1568, 224

pricing 1589

Annual bond 23

Annual compounding factor 5

Annual coupons 10

Annual equivalent yield 29

Annual rate 3

Arbitrage pricing 82, 878, 923, 144, 224

Arbitrageurs 87

Arithmetic Brownian motion 139, 141, 291

Arithmetic process 18

Asian option 208, 2214

Asset management, factor models in 326

Asset-or-nothing option 152

ATM option 154, 155, 184, 190, 238, 239, 240, 318

At par 8

At-the-money (ATM) option 154, 155, 18, 190, 238, 240, 318

Average price option 208, 2224

Average strike option 208, 2214

Bank of England forward rate curves 578

Banking book 1, 47

Barrier option 152, 21921

Base rate 8

Basis 68, 95

commodity 1001

fair value of 95, 99

no arbitrage range 957

risk 67

swap 38

Basket hedging 11112

Bearer bond 10

Bear spread 169

Below par 8

Bermudan option 151

Bermudan swaption 195

‘Best of’ option 209

Beta, volatility

estimation 3579

mapping 3567

Binary option 152, 214

Binomial option pricing model 138, 14851

Binomial tree 148, 244

BIS Quarterly Review 73

Bivariate GARCH model 262

Black-Scholes-Merton (BSM) formula 137, 139, 173, 176, 179

Black-Scholes-Merton (BSM) model 17385

assumptions 174

implied volatility 183, 23142

interpretation of formula 1803

partial differentiatial equation (PDE) 139, 1756

prices adjusted for stochastic volatility 1835

pricing formula 17880

underlying contract 1768

Black–Scholes–Merton ...

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